Correlation

Modified on 2013/05/11 10:11 by Eugene — Categorized as: Community Components

Syntax


public static double Correlation(this double">"> x, double[ y, int n)

public double Correlation(double">"> x, double[ y, int n)

Parameter Description

x	Array of double values (first data series)
y	Array of double values (second data series)
n	Correlation lookback period

Description

Calculates Pearson Correlation. Uses code from ALGLIB project.

Example

The following example demonstrates how well correlated were CMO and RSI:

Example using C# extension methods:


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class CorrelationDemo : WealthScript
	{
		protected override void Execute()
		{
			//	How well correlated were CMO and RSI? 

			int n = Bars.Count;
			double">n"> x = new double[n;
			double">n"> y = new double[n;
			RSI rsi = RSI.Series( Close, 20 );
			CMO cmo = CMO.Series( Close, 20 );
			
			for(int bar = 0; bar < Bars.Count; bar++)
			{
				xbar = rsibar;
				ybar = cmobar;
			}
			
			DrawLabel( PricePane, "Correlation: " + x.Correlation( y, n ) );
		}
	}
}

Legacy syntax example:


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components; // Correlation here

namespace WealthLab.Strategies
{
	public class CorrelationDemo : WealthScript
	{
		protected override void Execute()
		{
			//	How well correlated were CMO and RSI? 

			int n = Bars.Count;
			double">n"> x = new double[n;
			double">n"> y = new double[n;
			RSI rsi = RSI.Series( Close, 20 );
			CMO cmo = CMO.Series( Close, 20 );
			
			for(int bar = 0; bar < Bars.Count; bar++)
			{
				xbar = rsibar;
				ybar = cmobar;
			}
			
			Calculate calc = new Calculate(this); // pass WealthScript
			DrawLabel( PricePane, "Correlation: " + calc.Correlation( x, y, n ) );
		}
	}
}